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Approximation methods for piecewise deterministic Markov processes and their costs

In this paper, we analyse piecewise deterministic Markov processes (PDMPs), as introduced in Davis (1984). Many models in insurance mathematics can be formulated in terms of the general concept of PDMPs. There one is interested in computing certain quantities of interest such as the probability of r...

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Detalles Bibliográficos
Autores principales: Kritzer, Peter, Leobacher, Gunther, Szölgyenyi, Michaela, Thonhauser, Stefan
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Taylor & Francis 2019
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6474733/
https://www.ncbi.nlm.nih.gov/pubmed/31058276
http://dx.doi.org/10.1080/03461238.2018.1560357